The course covers the fundamental methods and concepts in empirical finance, with a focus on: predictability of asset returns, the impact of market microstructure, event analysis, the capital asset pricing model, multi factor prices and present value relations. The tools for the estimation and testing of models in empirical finance are developed and applied to specific models. The role of basic assumptions underlaying the different models and the techniques currently used in empirical finance are studied and evaluated. The introduced concepts and frameworks will be illustrated with simple applications using appropriate statistical software.
